| Metric | EQW | ^DJI | SPY | MV (50d) | BL (50d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 93.0% | 99.0% |
| Cumulative Return | 703.05% | 325.25% | 545.36% | 155.53% | 713.81% |
| CAGR﹪ | 8.65% | 5.93% | 7.7% | 3.8% | 8.7% |
| Sharpe | 0.54 | 0.4 | 0.48 | 0.3 | 0.59 |
| Prob. Sharpe Ratio | 99.65% | 97.82% | 99.16% | 93.56% | 99.83% |
| Smart Sharpe | 0.5 | 0.38 | 0.44 | 0.28 | 0.55 |
| Sortino | 0.76 | 0.57 | 0.68 | 0.42 | 0.83 |
| Smart Sortino | 0.71 | 0.53 | 0.63 | 0.39 | 0.77 |
| Sortino/√2 | 0.54 | 0.4 | 0.48 | 0.3 | 0.59 |
| Smart Sortino/√2 | 0.5 | 0.37 | 0.44 | 0.28 | 0.55 |
| Omega | 1.11 | 1.08 | 1.09 | 1.06 | 1.12 |
| Max Drawdown | -52.53% | -53.78% | -55.19% | -44.72% | -46.9% |
| Max DD Date | 2009-03-09 | 2009-03-09 | 2009-03-09 | 2009-03-02 | 2009-03-09 |
| Max DD Period Start | 2007-10-15 | 2007-10-10 | 2007-10-10 | 2007-07-20 | 2007-12-11 |
| Max DD Period End | 2011-02-15 | 2013-03-04 | 2012-08-15 | 2013-12-24 | 2011-02-04 |
| Longest DD Days | 1233 | 2450 | 2404 | 2607 | 1514 |
| Volatility (ann.) | 18.49% | 18.54% | 19.52% | 17.11% | 16.46% |
| Calmar | 0.16 | 0.11 | 0.14 | 0.09 | 0.19 |
| Skew | -0.23 | -0.11 | -0.01 | -0.31 | -0.28 |
| Kurtosis | 11.25 | 12.25 | 11.16 | 4.58 | 13.78 |
| Expected Daily | 0.03% | 0.02% | 0.03% | 0.01% | 0.03% |
| Expected Monthly | 0.69% | 0.48% | 0.62% | 0.31% | 0.69% |
| Expected Yearly | 8.02% | 5.51% | 7.15% | 3.54% | 8.07% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -1.88% | -1.89% | -1.99% | -1.75% | -1.67% |
| Expected Shortfall (cVaR) | -3.04% | -3.04% | -3.04% | -3.04% | -3.04% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.11 | 1.08 | 1.09 | 1.06 | 1.12 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.96 | 0.96 | 0.92 | 0.93 | 0.95 |
| Outlier Win Ratio | 4.06 | 4.0 | 3.84 | 4.56 | 4.64 |
| Outlier Loss Ratio | 3.92 | 4.0 | 3.69 | 3.84 | 4.36 |
| MTD | 4.06% | 2.57% | 5.17% | 5.45% | 4.42% |
| 3M | 9.22% | 10.94% | 12.06% | 8.79% | 10.11% |
| 6M | 11.55% | 14.12% | 16.79% | 5.82% | 13.47% |
| YTD | 3.77% | 3.83% | 6.85% | 4.66% | 4.71% |
| 1Y | 17.82% | 18.42% | 29.36% | -0.35% | 15.47% |
| 3Y (ann.) | 9.62% | 6.31% | 10.76% | 4.45% | 9.19% |
| 5Y (ann.) | 12.6% | 9.1% | 14.72% | 8.07% | 12.01% |
| 10Y (ann.) | 10.92% | 9.29% | 12.72% | 5.41% | 11.2% |
| All-time (ann.) | 8.65% | 5.93% | 7.7% | 3.8% | 8.7% |
| Best Day | 11.19% | 11.37% | 14.52% | 6.89% | 9.68% |
| Worst Day | -11.95% | -12.93% | -10.94% | -8.51% | -12.69% |
| Best Month | 13.04% | 13.95% | 12.7% | 21.39% | 12.14% |
| Worst Month | -16.39% | -14.06% | -16.52% | -16.06% | -15.11% |
| Best Year | 30.86% | 26.5% | 32.31% | 27.58% | 30.97% |
| Worst Year | -34.26% | -33.84% | -36.79% | -27.82% | -31.22% |
| Avg. Drawdown | -2.22% | -2.3% | -2.03% | -3.61% | -2.04% |
| Avg. Drawdown Days | 28 | 45 | 32 | 89 | 28 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.11 | 0.14 | 0.17 | 0.2 | 0.12 |
| Serenity Index | 0.69 | 0.42 | 0.47 | 0.19 | 0.58 |
| Avg. Up Month | 3.75% | 3.56% | 3.72% | 3.61% | 3.48% |
| Avg. Down Month | -4.03% | -4.17% | -4.32% | -4.29% | -3.53% |
| Win Days | 54.65% | 53.14% | 54.27% | 53.13% | 55.09% |
| Win Month | 63.37% | 60.73% | 62.71% | 58.36% | 63.21% |
| Win Quarter | 72.55% | 64.71% | 70.59% | 64.0% | 73.0% |
| Win Year | 77.78% | 66.67% | 77.78% | 76.92% | 80.77% |
| Year | EQW | ^DJI | SPY | MV (50d) | BL (50d) |
|---|---|---|---|---|---|
| 1998 | 1.14 | -0.21 | 0.09 | 0.00 | 0.00 |
| 1999 | 16.53 | 23.80 | 20.19 | 20.58 | 10.31 |
| 2000 | 3.63 | -4.22 | -7.41 | 10.48 | 16.99 |
| 2001 | -4.84 | -5.12 | -10.11 | -12.95 | -14.86 |
| 2002 | -16.76 | -15.11 | -20.83 | -23.92 | -18.40 |
| 2003 | 26.32 | 23.95 | 26.20 | 7.76 | 24.71 |
| 2004 | 13.88 | 3.69 | 10.78 | 15.56 | 14.30 |
| 2005 | 8.13 | -0.08 | 5.25 | 3.36 | 5.15 |
| 2006 | 15.60 | 15.58 | 15.21 | 16.71 | 14.80 |
| 2007 | 10.41 | 7.29 | 6.28 | 7.96 | 10.58 |
| 2008 | -34.59 | -34.13 | -37.36 | -28.59 | -32.49 |
| 2009 | 29.39 | 20.17 | 26.93 | 4.83 | 27.18 |
| 2010 | 16.55 | 11.76 | 15.63 | 6.38 | 13.55 |
| 2011 | 5.72 | 7.59 | 4.53 | 10.05 | 7.94 |
| 2012 | 14.42 | 7.69 | 15.64 | 5.06 | 17.04 |
| 2013 | 27.51 | 24.03 | 28.62 | 21.37 | 27.59 |
| 2014 | 13.12 | 7.84 | 13.27 | 20.85 | 14.97 |
| 2015 | 0.18 | -1.07 | 2.41 | -25.55 | 2.57 |
| 2016 | 13.25 | 13.38 | 12.18 | 11.44 | 13.46 |
| 2017 | 17.07 | 22.61 | 19.88 | 11.84 | 17.42 |
| 2018 | -5.74 | -4.20 | -3.23 | -6.69 | -3.76 |
| 2019 | 25.63 | 20.94 | 27.97 | 17.28 | 22.06 |
| 2020 | 16.52 | 13.82 | 22.47 | 10.00 | 19.42 |
| 2021 | 26.88 | 17.94 | 26.11 | 25.61 | 24.53 |
| 2022 | -8.85 | -7.24 | -17.13 | 4.24 | -7.87 |
| 2023 | 16.52 | 13.49 | 24.11 | -7.67 | 11.93 |
| 2024 | 3.78 | 3.81 | 6.73 | 4.70 | 4.68 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-15 | 2011-02-15 | -52.53 | 1220 |
| 2020-02-20 | 2020-11-06 | -36.34 | 261 |
| 2001-05-22 | 2004-10-05 | -36.27 | 1233 |
| 2022-03-30 | 2023-07-21 | -19.19 | 479 |
| 2011-07-08 | 2012-02-02 | -18.61 | 210 |
| 2018-09-24 | 2019-04-03 | -17.70 | 192 |
| 2001-02-02 | 2001-05-15 | -13.71 | 103 |
| 2000-01-11 | 2000-03-31 | -13.70 | 81 |
| 2015-05-22 | 2016-04-15 | -13.06 | 330 |
| 1999-07-19 | 2000-01-07 | -11.32 | 173 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| 2007-07-20 | 2007-09-28 | -8.25 | 71 |
| 2014-01-02 | 2014-04-29 | -7.26 | 118 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2000-01-20 | 2000-03-16 | -9.30 | 57 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-07-20 | 2013-12-24 | -44.72 | 2350 |
| 2000-03-28 | 2007-05-17 | -43.26 | 2607 |
| 2014-12-30 | 2019-12-13 | -31.87 | 1810 |
| 2022-06-08 | 2024-02-23 | -27.08 | 626 |
| 2020-02-19 | 2020-07-31 | -12.47 | 164 |
| 1999-07-19 | 1999-12-10 | -11.75 | 145 |
| 2000-01-03 | 2000-02-07 | -9.54 | 36 |
| 2020-10-13 | 2021-02-11 | -8.30 | 122 |
| 2021-11-08 | 2022-03-03 | -8.24 | 116 |
| 2020-09-03 | 2020-10-09 | -8.23 | 37 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-12-11 | 2011-02-04 | -46.90 | 1152 |
| 2001-05-22 | 2005-07-13 | -39.82 | 1514 |
| 2020-02-18 | 2020-08-26 | -33.65 | 191 |
| 2022-04-21 | 2024-02-09 | -21.63 | 660 |
| 1999-07-19 | 2000-05-12 | -17.98 | 299 |
| 2011-05-11 | 2012-01-18 | -15.58 | 253 |
| 2018-09-24 | 2019-03-15 | -13.97 | 173 |
| 2000-12-29 | 2001-05-15 | -12.90 | 138 |
| 2015-07-17 | 2015-12-28 | -11.20 | 165 |
| 2015-12-30 | 2016-03-28 | -9.85 | 90 |